research/stat_pairs_backtest
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This commit is contained in:
Oleg Sheynin
2026-01-11 13:33:58 +00:00
parent 6dd0f97d74
commit b196863a34
26 changed files with 5365 additions and 5566 deletions
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lib/tools/viz/viz_prices.py
+2 -2
View File
@@ -8,8 +8,8 @@ def visualize_prices(strategy: PtResearchStrategy, trading_date: str) -> None:
import seaborn as sns
pair = strategy.trading_pair_
SYMBOL_A = pair.symbol_a_
SYMBOL_B = pair.symbol_b_
SYMBOL_A = pair.symbol_a()
SYMBOL_B = pair.symbol_b()
TRD_DATE = f"{trading_date[0:4]}-{trading_date[4:6]}-{trading_date[6:8]}"
plt.style.use('seaborn-v0_8')
lib/tools/viz/viz_trades.py
+13 -18
View File
@@ -1,13 +1,8 @@
from __future__ import annotations
import os
from typing import Any, Dict
from pairs_trading.lib.pairs_trading.lib.tegy.results import (PairResearchResult, create_result_database,
store_config_in_database)
from pairs_trading.lib.pairs_trading.lib.t_strategy.research_strategy import PtResearchStrategy
from pairs_trading.lib.tools.filetools import resolve_datafiles
from pairs_trading.lib.tools.instruments import get_instruments
from pairs_trading.lib.pt_strategy.results import (PairResearchResult)
from pairs_trading.lib.pt_strategy.research_strategy import PtResearchStrategy
def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult, trading_date: str) -> None:
@@ -25,8 +20,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
origin_mkt_data_df = strategy.pt_mkt_data_.origin_mkt_data_df_
mkt_data_df = strategy.pt_mkt_data_.market_data_df_
TRD_DATE = f"{trading_date[0:4]}-{trading_date[4:6]}-{trading_date[6:8]}"
SYMBOL_A = pair.symbol_a_
SYMBOL_B = pair.symbol_b_
SYMBOL_A = pair.symbol_a()
SYMBOL_B = pair.symbol_b()
print(f"\nCreated trading pair: {pair}")
@@ -51,7 +46,7 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
timeline_df = pd.DataFrame({'tstamp': all_timestamps})
# Merge with predicted data to get dis-equilibrium values
timeline_df = timeline_df.merge(strategy.predictions_[['tstamp', 'disequilibrium', 'scaled_disequilibrium', 'signed_scaled_disequilibrium']],
timeline_df = timeline_df.merge(strategy.predictions_df_[['tstamp', 'disequilibrium', 'scaled_disequilibrium', 'signed_scaled_disequilibrium']],
on='tstamp', how='left')
# Get Symbol_A and Symbol_B market data
@@ -110,8 +105,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
type="line",
x0=timeline_df['tstamp'].min(),
x1=timeline_df['tstamp'].max(),
y0=strategy.config_['dis-equilibrium_open_trshld'],
y1=strategy.config_['dis-equilibrium_open_trshld'],
y0=strategy.config_.get_value('dis-equilibrium_open_trshld'),
y1=strategy.config_.get_value('dis-equilibrium_open_trshld'),
line=dict(color="purple", width=2, dash="dot"),
opacity=0.7,
row=1, col=1
@@ -121,8 +116,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
type="line",
x0=timeline_df['tstamp'].min(),
x1=timeline_df['tstamp'].max(),
y0=-strategy.config_['dis-equilibrium_open_trshld'],
y1=-strategy.config_['dis-equilibrium_open_trshld'],
y0=-strategy.config_.get_value('dis-equilibrium_open_trshld'),
y1=-strategy.config_.get_value('dis-equilibrium_open_trshld'),
line=dict(color="purple", width=2, dash="dot"),
opacity=0.7,
row=1, col=1
@@ -132,8 +127,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
type="line",
x0=timeline_df['tstamp'].min(),
x1=timeline_df['tstamp'].max(),
y0=strategy.config_['dis-equilibrium_close_trshld'],
y1=strategy.config_['dis-equilibrium_close_trshld'],
y0=strategy.config_.get_value('dis-equilibrium_close_trshld'),
y1=strategy.config_.get_value('dis-equilibrium_close_trshld'),
line=dict(color="brown", width=2, dash="dot"),
opacity=0.7,
row=1, col=1
@@ -143,8 +138,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
type="line",
x0=timeline_df['tstamp'].min(),
x1=timeline_df['tstamp'].max(),
y0=-strategy.config_['dis-equilibrium_close_trshld'],
y1=-strategy.config_['dis-equilibrium_close_trshld'],
y0=-strategy.config_.get_value('dis-equilibrium_close_trshld'),
y1=-strategy.config_.get_value('dis-equilibrium_close_trshld'),
line=dict(color="brown", width=2, dash="dot"),
opacity=0.7,
row=1, col=1